Size, Value, and Momentum of Stock Returns of Most Actively

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Transcript of Size, Value, and Momentum of Stock Returns of Most Actively

Size, Value, and Momentum of Stock Returns of Most Actively Traded Stocks in the Philippines from 2009-2013AQUINO, FRIGILLANA, MANGUA, TIMONESCHAPTER 1: INTRODUCTION1.1 Background of the Problem1.2 Statement of the Problem1.3 Objectives of the Study1.4 Hypothesis1.5 Significance of the Study1.6 Scope and LimitationsCHAPTER 2 : REVIEW OF RELATED LITERATURECHAPTER 3: RESEARCH FRAMEWORKchapter 4: research methodologyCHAPTER 5 : RESULTS AND DISCUSSIONSChapter 6: conclusion and recommendations1.1 BACKGROUND OF THE STUDYUnited States and Developed MarketsEmerging MarketsEMPIRICAL STUDIES ON VALUE AND MOMENTUM EFFECTS1.2 PROBLEM STATEMENTDo size, value, and momentum affect stock returns of the most actively traded stocks in the Philippine Equity Market?1.3 objective of the studyThis paper aims to determine if size, value, and momentum affect the stock returns of the most actively traded stocks in the Philippine equity market.1.4 HYPOTHESISThere is no significant effect of the size, value and momentum in the stock returns of the most actively traded stocks of the Philippine equity market.1.5 SCOPE AND LIMITATIONSData that will be used are within the years 2009 - 2013 onlyData is retrieved on a monthly basisData will be acquired from the most actively traded stocks of the Philippine equity market1.6 significance of the studyThe Philippines as an emerging market - Volatile investments- Currency fluctuations- Political and Economic RisksHelp in the anticipation of stock market movements.Encourage investing2.1 Literature Map2.2 Research Gap2.1 LITERATURE MAP2.2 RESEARCH GAPLack of empirical studies on the size, value, and momentum in emerging markets and none gave focus on the Philippines. 3.1 THEORETICAL FRAMEWORKEfficient Market Hypothesis -Eugene F. Fama and Paul A. Samuelson -‘prices fully reflect all available information’ 3.2 CONCEPTUAL FRAMEWORKrelative strength indexa momentum indicator that measures the change and speed of a stock price formulated in the 1970s by J. Welles Wilder RSI = 100 - 100/(1 + Relative Strength)Where Relative Strength = Average Gain / Average Loss3.3 OPERATIONAL FRAMEWORK4.1 Research design4.2 sampling design4.3 data description and data collectionStock ReturnsHistorical Stock Prices. (Financial Times and Philippine Stock Exchange Website)Market Capitalization Official Philippine Stock Exchange Data (Monthly Basis)Equity Financial Statements.Relative Strength Index (RSI) Official Philippine Stock Exchange Data (Monthly Basis)4.4 Data analysis Panel Data Regression AnalysisStacked time seriesFixed Effects Model

4.5 methodology limitationsExclusion of NI StockDivergences of Relative Strength Indexoccurs when the movement of the RSI is in a different direction than the stock. RSI only measures the “speed and change of price movements”5.1 DATA PRESENTATION5.2 regression analysis and presentationDescription of RegressionSize, Value, and Momentum of Stock Returns of Most Actively Traded Stocks in the Philippines from 2009-2013AQUINO, FRIGILLANA, MANGUA, TIMONES5.2 regression analysis and presentationResults of Regression3.1 Theoretical Framework3.2 Conceptual Framework3.3 Operational Framework4.1 Research Design4.2 Sampling Design4.3 Data Description and Data Collection4.4 Data Analysis4.5 Methodology Limitations5.1 Data Presentation5.2 Regression Analysis and PresentationMARKET CAPITALIZATION= Shares Outstanding x Current Price per shareEQUITY= Assets - LiabilitiesValue of assets when all debts are paid6.1 CONCLUSION* per unit increase of explanatory variable, ceteris paribus.sizemomentumvalue4.1.1 descriptive design4.1.2 correlational design6.2 recommendationSFind out other models that are applicable in measuring size, value, and momentum of stocksProlong the coverage of the studyStart early or spend longer time in doing research6.1 Conclusion6.2 Recommendations